Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0228 |
| Annualized Std Dev | 0.2143 |
| Annualized Sharpe (Rf=0%) | -0.1063 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1376 |
| Quartile 1 | -0.0053 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0054 |
| Maximum | 0.2707 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | 0.5228 |
| Kurtosis | 45.8294 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0097 |
| Gain Deviation | 0.0109 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0143 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.8325 |
| Historical VaR (95%) | -0.0171 |
| Historical ES (95%) | -0.0322 |
| Modified VaR (95%) | -0.0076 |
| Modified ES (95%) | -0.0076 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-02 | 2008-10-10 | NA | -0.8325 | 5149 | 2018 | NA |
| 1999-12-27 | 2000-01-05 | 2000-02-03 | -0.1453 | 28 | 8 | 20 |
| 2000-07-18 | 2000-08-03 | 2000-08-31 | -0.0994 | 33 | 13 | 20 |
| 1999-06-24 | 1999-09-28 | 1999-12-06 | -0.0976 | 115 | 67 | 48 |
| 2000-03-29 | 2000-05-18 | 2000-07-14 | -0.0971 | 75 | 36 | 39 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.3 | 0.6 | 1.3 | 1.3 | -1.2 | 0 | 0 | 1.3 | 0 | -1.9 | -0.6 | 0 | 1.9 |
| 2000 | 0 | 1.2 | -1.2 | 0 | 1.2 | 0 | -0.6 | 1.1 | 0.5 | 0 | 3.7 | 3.8 | 10 |
| 2001 | -0.5 | 3.2 | 1.8 | 0.4 | 0.4 | 1.1 | -1.1 | -0.2 | -1.9 | 1.1 | -0.1 | -0.6 | 3.5 |
| 2002 | 0.8 | 2 | 0 | 0 | 1.2 | -8.9 | -2.7 | -2.9 | -0.7 | 2.4 | -0.6 | 0.2 | -9.4 |
| 2003 | 2.1 | -0.2 | 1.7 | -1.9 | -0.6 | -1.3 | 0.2 | -0.4 | -0.7 | 0.7 | 0.4 | -0.2 | -0.3 |
| 2004 | 1.6 | 1 | 1.2 | 0.2 | 0 | 0 | -0.4 | -1 | 0.4 | -0.4 | 1.3 | 0.4 | 4.3 |
| 2005 | 0 | 0.6 | 0.2 | -1 | 0.4 | 0.6 | 0.4 | 0.8 | -0.2 | -1.2 | 1 | -0.2 | 1.3 |
| 2006 | 0.4 | 0.4 | 0.4 | 0.4 | 0 | -0.6 | 0.2 | 0.2 | 0.6 | -0.2 | -1.4 | -0.2 | 0.3 |
| 2007 | -0.6 | 0 | 1.7 | 0 | 0 | -0.2 | -1.6 | 0.2 | 1.2 | 0 | -0.5 | -0.8 | -0.5 |
| 2008 | -1.3 | -1 | 1.1 | -0.3 | 1.1 | -2.2 | 1.2 | -0.3 | 11.9 | 1.7 | -2.2 | 2.7 | 12.3 |
| 2009 | -6.7 | 0.9 | -1.7 | 0.3 | 2.2 | 0.3 | 0.8 | -0.5 | -0.2 | -1.1 | -0.2 | 1.6 | -4.5 |
| 2010 | 1.8 | -1.9 | -0.4 | 2 | 0.4 | 0 | -0.4 | 1.6 | 0 | 0.9 | -0.5 | -0.2 | 3.3 |
| 2011 | -0.6 | 0.4 | -0.2 | 0.4 | -0.4 | -0.6 | 0.2 | -0.2 | -1.2 | -0.3 | 0 | 1.3 | -1.2 |
| 2012 | 1 | 1 | -0.2 | 0.3 | -0.8 | 1 | 1.7 | 0.7 | -0.2 | 1 | -0.2 | -0.2 | 5.3 |
| 2013 | 0.3 | 0.3 | -1 | 0 | -0.7 | -0.5 | 0 | -0.8 | 0 | -0.2 | 0 | 0.2 | -2.4 |
| 2014 | 0.6 | -0.5 | -0.7 | 0.4 | 0.5 | -0.4 | 0 | 0.4 | -1.1 | 0.5 | 0.2 | 0 | -0.2 |
| 2015 | 0 | 0.4 | -0.7 | 0.2 | 0 | -0.4 | 0.6 | 0.2 | 0 | 0.8 | 0 | -1.3 | -0.3 |
| 2016 | -0.7 | 0 | -0.6 | 0.8 | -0.2 | -0.2 | 0.2 | -0.2 | 0 | 0.2 | 0 | 0.8 | 0 |
| 2017 | 0 | 0.2 | 0.2 | 0 | 0.4 | 0.4 | -0.2 | -0.2 | 0.5 | -0.3 | -0.7 | 2.6 | 2.9 |
| 2018 | -0.4 | 0.7 | 0.9 | 0.4 | -0.2 | 0.5 | 0.5 | -0.4 | -1.1 | 0.5 | 0 | 0.4 | 2 |
| 2019 | 0 | 0 | -0.5 | 0.5 | 0.5 | -1.7 | 0 | 1.6 | 0.5 | -0.2 | 0.2 | -0.3 | 0.5 |
| 2020 | 0.7 | -2.2 | -4.4 | -0.7 | 1.4 | 1.8 | 0.5 | -0.2 | -0.4 | -0.5 | 0.9 | 2 | -1.3 |
| 2021 | -0.5 | -0.2 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
